Risk modelling picture






Energy Risk Modelling
13-14 November 2013

Register here

Telephone: +47 22 99 42 00



13 November 2013

Workshop: 09:30-17:00 GMT
Dinner: 19.00

14 November 2013, 09:30-15:30 GMT


Nordic Sea Hotel
Vasaplan 4, Stockholm


Seminar: EUR 1785

The price for the whole event includes workshop, documentation, lunch and coffee breaks. Conference dinner will also be included. VAT is not included in the price.

The organiser have reserved several

rooms at the conference hotel Nordic Sea Hotel. Participants pay SEK 1895 per room/night. (breakfast included)

To book, please contact the hotel coordinators
Phone: +46 8 50 56 34 80 or send an e-mail. State reservation code: 4411
NB: After 13 October the reserved room block will be released


If you have any questions, please contact:

 Morten Hegna, Montel AS
-mail: mortenh@montel.no

Phone: +47 35 52 28 25

Professor Sjur Westgaard
Department of Industrial Economics and Technology Management
Norwegian University of Science and Technology
NO- 7491 Trondheim, Norway
Phone: +47 73 59 31 83 or +47 971 22 019
E-mail: sjur.westgaard@iot.ntnu.no

web: www.iot.ntnu.no/users/sjurw



Energy risk modelling


This t
wo-day in-depth workshop is dedicated for traders and analysts wanting to gain insights into risk modelling of energy markets.

The need for risk modelling of energy markets
Liberalisation of power and fuel markets has fundamentally changed the way power companies do business. Competition has created both strong incentives to improve operational efficiency and the need for effective risk management.

More volatile energy markets, combined with complex trading and hedging portfolios consisting of both long and short positions has increased the need for measuring risk of individual contracts as well as contract portfolios. Enterprise risk management (ERM) at a corporate level has also become increasingly important.

Understanding the dynamics and determinants of volatility and risk in energy markets will therefore be essential.


Workshop content:  Energy Risk Modelling


Day 1, Wednesday 13 November

     Energy markets at the Intercontinental Exchange, Nasdaq OMX Commodities and European Energy Exchange


     Risk and return characteristics of energy futures markets (Nordic, German, Dutch and UK)


     Risk measures:

                  Value at risk

                  Expected shortfall


     Factor models for electricity markets Case: A fundamental model for the Nord Pool spot market


     Risk/return and asset allocation for energy futures portfolios


Data/Excel cases for each model



Day 2, Thursday 14 November


     Statistical trading models:for energy futures

               Strategies one energy commodity

               Spread trading strategies between energy markets


      Modeling volatility and correlation in energy markets (based on daily and  intra-daily data)


      'Value at risk' models for energy commodity portfolios:

                   Historical simulation

                   isk metrics

                   Monte Carlo VaR


     Modelling non-linear sensitivities and price distributions using quantile regression Case: The UK electricity spot market


      Modelling energy dark, spark, crack spreads with copulas



Data/Excel cases for each model


The participant receives:  

- Course slides
- Notes
- Articles
- Real time data from Ice
- Excel applications
- References to books within energy risk modelling

The course will be held in English language

Click here to register


Terms and conditions
Payment due within 20 days from received invoice. If you are prevented from coming, a colleague can take your place. If you have to cancel your registration one month before the event, an administration fee of 10% will be charged. If the cancellation takes place one month and closer to the conference, total amount will be charged. However, you will receive a free place to a future Montel-event. Cancellations have to be in writing.



Professor Sjur Westgaard









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